Your version of ESRI may differ somewhat, you may have to adapt the workflow described below.
1) Extract the ZIP file into a directory on your hard drive
2) Open ESRI's ArcMap version 9.X or higher
3) Add the layer files in the root directory (files with the .lyr extension). These layers are already symbolized. Alternatively, you can navigate through the subdirectories and add the .shp files to your map.